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Sovereign Credit Ratings, Market Volatility, and Financial Gains
Afonso, António - 2014
, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … for portfolio returns when taking into account sovereign credit ratings' information for volatility modelling, with …
Persistent link: https://www.econbiz.de/10013057674
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Foreign acquisition and credit risk : evidence from the U.S. CDS market
Yilmaz, Umit - 2016 - This draft: May 31, 2016
This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...
Persistent link: https://www.econbiz.de/10011519062
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …
Persistent link: https://www.econbiz.de/10011471074
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Cyber attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …
Persistent link: https://www.econbiz.de/10012219891
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Sovereign Spread Volatility and Banking Sector
Sharma, Vivek - 2019
Using structural vector autoregression augmented with stochastic volatility (SVAR-SV), we document that in late 2000s there were large spikes in volatility of spreads on peripheral eurozone government bonds. This increased volatility entailed a significant decline in bank credit to nonfinancial...
Persistent link: https://www.econbiz.de/10012891015
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Dynamics of Political Risk Rating and Stock Market Volatility
Suleman, Muhammad Tahir - 2016
In this paper we propose a framework for predicting market returns and volatility using changes in the country's political risk. We identify the appropriate lag to calculate changes over, and show how the changes should be included in mean and volatility equations. The appropriate level of...
Persistent link: https://www.econbiz.de/10013007275
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Effect of catastrophic disaster in financial market contagion
Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent economics & finance 5 (2017) 1, pp. 1-13
The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …
Persistent link: https://www.econbiz.de/10011597973
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Reviewing the Leverage Cycle
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013
, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …
Persistent link: https://www.econbiz.de/10010895688
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Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model
Cermak, Vavrinec - 2017
This study examines whether Bitcoin, a digital decentralized currency, can become a viable alternative to fiat currencies. Bitcoin currently does not fulfill the criteria of being a currency because it does not function as a medium of exchange, a unit of account, and a store of value. Bitcoin's...
Persistent link: https://www.econbiz.de/10012957332
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Emerging Markets Are Catching Up : Economic or Financial Integration?
Akbari, Amir - 2019
We propose a simple metric to measure two aspects of market integration, namely economic integration (defined as a common cash flow dynamic) and financial integration (defined as a common risk pricing dynamic) and then examine their evolution through time while controlling for volatility. We...
Persistent link: https://www.econbiz.de/10012901190